Características dos outros resultados abrangentes e sofisticação dos investidores: uma análise sobre a precificação da informação
Autor(a) principal: | |
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Data de Publicação: | 2018 |
Tipo de documento: | Tese |
Idioma: | por |
Título da fonte: | Biblioteca Digital de Teses e Dissertações da UFPB |
Texto Completo: | https://repositorio.ufpb.br/jspui/handle/123456789/15205 |
Resumo: | The model for the disclosure of other comprehensive income (OCI) in the statement of profit and loss, to the detriment of its disclosure only in the statement of changes in equity proposed by the FASB and IASB regulators, is supported by the argument that this would bring more transparency to the market and would allow investors to perceive manipulations of information on these equity components, which would not be achieved by the previous model. However, intrinsic characteristics of OCIs such as volatility and discretionary managerial in the measurement of the fair value of some components resulting from the lack of an active market, added to the informational complexity of these equity components, require that investors pay attention to the application of the discount rate appropriate to the risk in its expected cash flows, and thus maintain the pricing of the assets at their fundamental value. However, the incomplete revelation hypothesis holds that the most costly statistics to extract from public data are not revealed in the stock price, added to this the limited attention theory shows that the attention of investors is a growing function of their information processing costs, the market being made up of investors with different levels of attention. Thus, the volatility and discretionary managerial of some of the OCI components are characteristics that undermine the informational usefulness and can raise the risk perception of less attentive investors. Such situations may impact in mispricing of the OCI and its components. In this context, this thesis argues that the sophistication of the investor, understood as attention to the usefulness of the accounting information, leads to a possible mispricing of the other comprehensive results and their components. Thus the purpose of this research was to analyze the influence of investors' sophistication, focusing on the characteristics of OCI, in the information pricing process. To achieve this, a sample of 78 shares of companies between ON and PN were traded in Brazil, Bolsa, Balcão (B3) in the period from 2010 to 2016. For OCI, the results were consistent in finding that these components are mispricing by unsophisticated investors and when there is high volatility and can, in the period of the crisis, obtain abnormal returns of up to 1.5% with these investment strategies. The results also revealed mispricing by sophisticated investors as to components that do not have an active market as a benchmark for fair value measurement. The main implications of these results show that the model currently adopted for OCI disclosure may not have achieved its objectives, since the greater evidence of this information may cause problems of raising the level of risk and mispricing of these components by investors. To minimize these problems or regulators change the way of disclosure or adopt regulations that improve the informational environment so that investors know the nature of these equity components and can price them properly, as an anomaly, being a problem of mispricing can create an environment conducive to information manipulation, which can hinder the efficient allocation of resources in the capital market. |
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Características dos outros resultados abrangentes e sofisticação dos investidores: uma análise sobre a precificação da informaçãoDiscricionariedade gerencialInvestidores institucionaisOutros resultados abrangentesPrecificaçãoVolatilidadeDiscretionary managerialInstitutional investorsOther comprehensive incomePricingVolatilityCNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO::CIENCIAS CONTABEISThe model for the disclosure of other comprehensive income (OCI) in the statement of profit and loss, to the detriment of its disclosure only in the statement of changes in equity proposed by the FASB and IASB regulators, is supported by the argument that this would bring more transparency to the market and would allow investors to perceive manipulations of information on these equity components, which would not be achieved by the previous model. However, intrinsic characteristics of OCIs such as volatility and discretionary managerial in the measurement of the fair value of some components resulting from the lack of an active market, added to the informational complexity of these equity components, require that investors pay attention to the application of the discount rate appropriate to the risk in its expected cash flows, and thus maintain the pricing of the assets at their fundamental value. However, the incomplete revelation hypothesis holds that the most costly statistics to extract from public data are not revealed in the stock price, added to this the limited attention theory shows that the attention of investors is a growing function of their information processing costs, the market being made up of investors with different levels of attention. Thus, the volatility and discretionary managerial of some of the OCI components are characteristics that undermine the informational usefulness and can raise the risk perception of less attentive investors. Such situations may impact in mispricing of the OCI and its components. In this context, this thesis argues that the sophistication of the investor, understood as attention to the usefulness of the accounting information, leads to a possible mispricing of the other comprehensive results and their components. Thus the purpose of this research was to analyze the influence of investors' sophistication, focusing on the characteristics of OCI, in the information pricing process. To achieve this, a sample of 78 shares of companies between ON and PN were traded in Brazil, Bolsa, Balcão (B3) in the period from 2010 to 2016. For OCI, the results were consistent in finding that these components are mispricing by unsophisticated investors and when there is high volatility and can, in the period of the crisis, obtain abnormal returns of up to 1.5% with these investment strategies. The results also revealed mispricing by sophisticated investors as to components that do not have an active market as a benchmark for fair value measurement. The main implications of these results show that the model currently adopted for OCI disclosure may not have achieved its objectives, since the greater evidence of this information may cause problems of raising the level of risk and mispricing of these components by investors. To minimize these problems or regulators change the way of disclosure or adopt regulations that improve the informational environment so that investors know the nature of these equity components and can price them properly, as an anomaly, being a problem of mispricing can create an environment conducive to information manipulation, which can hinder the efficient allocation of resources in the capital market.NenhumaO modelo de divulgação dos outros resultados abrangentes (ORA) na demonstração de desempenho, em detrimento de sua divulgação apenas na demonstração das mutações do patrimônio líquido, proposto pelos normatizadores FASB e IASB, é apoiado no argumento de que isso traria mais transparência para o mercado e possibilitaria que os investidores percebessem manipulações de informações desses componentes patrimoniais, o que não seria alcançado pelo modelo anterior. Entretanto, características intrínsecas dos ORA tais como a volatilidade e a discricionariedade gerencial na mensuração do valor justo de alguns componentes decorrentes da falta de um mercado ativo, somadas, ainda, à complexidade informacional desses componentes patrimoniais, exigem que os investidores se atentem para a aplicação da taxa de desconto adequada ao risco nos seus fluxos de caixa esperados, e assim manter a precificação dos ativos no seu valor fundamental. Todavia, a hipótese da revelação incompleta defende que as estatísticas mais dispendiosas de extrair de dados públicos não são revelados no preço das ações, adicionado a isso a teoria da atenção limitada mostra que a atenção dos investidores é uma função crescente dos seus custos de processamento das informações, sendo o mercado constituído por investidores com diferentes níveis de atenção. Dessa forma, a volatilidade e a discricionariedade gerencial de alguns componentes dos ORA são características que prejudicam a utilidade informacional e podem elevar a percepção de risco dos investidores menos atentos. Tais situações podem impactar em má precificação dos ORA e seus componentes. Nesse contexto, esta tese defende que a sofisticação do investidor, entendida como a atenção em relação à utilidade da informação contábil, conduz à uma possível má precificação dos outros resultados abrangentes e seus componentes. Assim o propósito desta pesquisa foi analisar a influência da sofisticação dos investidores, com foco nas características dos ORA, no processo de precificação da informação. Para alcançar tal proposta utilizou-se uma amostra de 78 ações de empresas, entre ON e PN, que negociaram na Brasil, Bolsa, Balcão (B3) no período de 2010 a 2016. Para os ORA, os resultados foram consistentes em achar que esses componentes são mal precificados pelos investidores não sofisticados e quando há alta volatilidade podendo, no período da crise, obter retornos anormais positivos de até 1,5% com estas estratégias de investimento. Os resultados revelaram também a má precificação por parte dos investidores sofisticados quanto aos componentes que não possuem um mercado ativo como referência para mensuração do valor justo. As principais implicações desses resultados mostram que o modelo adotado atualmente para divulgação dos ORA pode não ter alcançado seus objetivos, uma vez que a maior evidência dessas informações pode causar problemas de aumento do nível de risco e má precificação desses componentes pelos investidores. Para minimizar esses problemas ou os reguladores mudam a forma de divulgação ou adotam-se regulações que melhorem o ambiente informacional para que os investidores conheçam a natureza desses componentes patrimoniais e possam precificá-los de forma adequada, pois uma anomalia, sendo um problema de má precificação, pode gerar um ambiente propício para manipulação de informações, o que pode prejudicar a alocação eficiente de recursos no mercado de capitais.Universidade Federal da ParaíbaBrasilFinanças e ContabilidadePrograma de Pós-Graduação em Ciências ContábeisUFPBCavalcante, Paulo Roberto Nóbregahttp://lattes.cnpq.br/6437962981885439Melo, Jefferson Ricardo do Amaral2019-08-06T18:39:19Z2019-08-062019-08-06T18:39:19Z2018-12-12info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/doctoralThesishttps://repositorio.ufpb.br/jspui/handle/123456789/15205porAttribution-NoDerivs 3.0 Brazilhttp://creativecommons.org/licenses/by-nd/3.0/br/info:eu-repo/semantics/openAccessreponame:Biblioteca Digital de Teses e Dissertações da UFPBinstname:Universidade Federal da Paraíba (UFPB)instacron:UFPB2019-08-06T18:39:19Zoai:repositorio.ufpb.br:123456789/15205Biblioteca Digital de Teses e Dissertaçõeshttps://repositorio.ufpb.br/PUBhttp://tede.biblioteca.ufpb.br:8080/oai/requestdiretoria@ufpb.br|| diretoria@ufpb.bropendoar:2019-08-06T18:39:19Biblioteca Digital de Teses e Dissertações da UFPB - Universidade Federal da Paraíba (UFPB)false |
dc.title.none.fl_str_mv |
Características dos outros resultados abrangentes e sofisticação dos investidores: uma análise sobre a precificação da informação |
title |
Características dos outros resultados abrangentes e sofisticação dos investidores: uma análise sobre a precificação da informação |
spellingShingle |
Características dos outros resultados abrangentes e sofisticação dos investidores: uma análise sobre a precificação da informação Melo, Jefferson Ricardo do Amaral Discricionariedade gerencial Investidores institucionais Outros resultados abrangentes Precificação Volatilidade Discretionary managerial Institutional investors Other comprehensive income Pricing Volatility CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO::CIENCIAS CONTABEIS |
title_short |
Características dos outros resultados abrangentes e sofisticação dos investidores: uma análise sobre a precificação da informação |
title_full |
Características dos outros resultados abrangentes e sofisticação dos investidores: uma análise sobre a precificação da informação |
title_fullStr |
Características dos outros resultados abrangentes e sofisticação dos investidores: uma análise sobre a precificação da informação |
title_full_unstemmed |
Características dos outros resultados abrangentes e sofisticação dos investidores: uma análise sobre a precificação da informação |
title_sort |
Características dos outros resultados abrangentes e sofisticação dos investidores: uma análise sobre a precificação da informação |
author |
Melo, Jefferson Ricardo do Amaral |
author_facet |
Melo, Jefferson Ricardo do Amaral |
author_role |
author |
dc.contributor.none.fl_str_mv |
Cavalcante, Paulo Roberto Nóbrega http://lattes.cnpq.br/6437962981885439 |
dc.contributor.author.fl_str_mv |
Melo, Jefferson Ricardo do Amaral |
dc.subject.por.fl_str_mv |
Discricionariedade gerencial Investidores institucionais Outros resultados abrangentes Precificação Volatilidade Discretionary managerial Institutional investors Other comprehensive income Pricing Volatility CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO::CIENCIAS CONTABEIS |
topic |
Discricionariedade gerencial Investidores institucionais Outros resultados abrangentes Precificação Volatilidade Discretionary managerial Institutional investors Other comprehensive income Pricing Volatility CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO::CIENCIAS CONTABEIS |
description |
The model for the disclosure of other comprehensive income (OCI) in the statement of profit and loss, to the detriment of its disclosure only in the statement of changes in equity proposed by the FASB and IASB regulators, is supported by the argument that this would bring more transparency to the market and would allow investors to perceive manipulations of information on these equity components, which would not be achieved by the previous model. However, intrinsic characteristics of OCIs such as volatility and discretionary managerial in the measurement of the fair value of some components resulting from the lack of an active market, added to the informational complexity of these equity components, require that investors pay attention to the application of the discount rate appropriate to the risk in its expected cash flows, and thus maintain the pricing of the assets at their fundamental value. However, the incomplete revelation hypothesis holds that the most costly statistics to extract from public data are not revealed in the stock price, added to this the limited attention theory shows that the attention of investors is a growing function of their information processing costs, the market being made up of investors with different levels of attention. Thus, the volatility and discretionary managerial of some of the OCI components are characteristics that undermine the informational usefulness and can raise the risk perception of less attentive investors. Such situations may impact in mispricing of the OCI and its components. In this context, this thesis argues that the sophistication of the investor, understood as attention to the usefulness of the accounting information, leads to a possible mispricing of the other comprehensive results and their components. Thus the purpose of this research was to analyze the influence of investors' sophistication, focusing on the characteristics of OCI, in the information pricing process. To achieve this, a sample of 78 shares of companies between ON and PN were traded in Brazil, Bolsa, Balcão (B3) in the period from 2010 to 2016. For OCI, the results were consistent in finding that these components are mispricing by unsophisticated investors and when there is high volatility and can, in the period of the crisis, obtain abnormal returns of up to 1.5% with these investment strategies. The results also revealed mispricing by sophisticated investors as to components that do not have an active market as a benchmark for fair value measurement. The main implications of these results show that the model currently adopted for OCI disclosure may not have achieved its objectives, since the greater evidence of this information may cause problems of raising the level of risk and mispricing of these components by investors. To minimize these problems or regulators change the way of disclosure or adopt regulations that improve the informational environment so that investors know the nature of these equity components and can price them properly, as an anomaly, being a problem of mispricing can create an environment conducive to information manipulation, which can hinder the efficient allocation of resources in the capital market. |
publishDate |
2018 |
dc.date.none.fl_str_mv |
2018-12-12 2019-08-06T18:39:19Z 2019-08-06 2019-08-06T18:39:19Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/doctoralThesis |
format |
doctoralThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://repositorio.ufpb.br/jspui/handle/123456789/15205 |
url |
https://repositorio.ufpb.br/jspui/handle/123456789/15205 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.rights.driver.fl_str_mv |
Attribution-NoDerivs 3.0 Brazil http://creativecommons.org/licenses/by-nd/3.0/br/ info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Attribution-NoDerivs 3.0 Brazil http://creativecommons.org/licenses/by-nd/3.0/br/ |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
Universidade Federal da Paraíba Brasil Finanças e Contabilidade Programa de Pós-Graduação em Ciências Contábeis UFPB |
publisher.none.fl_str_mv |
Universidade Federal da Paraíba Brasil Finanças e Contabilidade Programa de Pós-Graduação em Ciências Contábeis UFPB |
dc.source.none.fl_str_mv |
reponame:Biblioteca Digital de Teses e Dissertações da UFPB instname:Universidade Federal da Paraíba (UFPB) instacron:UFPB |
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Universidade Federal da Paraíba (UFPB) |
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UFPB |
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UFPB |
reponame_str |
Biblioteca Digital de Teses e Dissertações da UFPB |
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Biblioteca Digital de Teses e Dissertações da UFPB |
repository.name.fl_str_mv |
Biblioteca Digital de Teses e Dissertações da UFPB - Universidade Federal da Paraíba (UFPB) |
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diretoria@ufpb.br|| diretoria@ufpb.br |
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